
************************************************************************************************************
*  T. Didier, R. Rigobon, S.L. Schmukler, 2013.								   *
*  Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World   *
*  The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1562-1583, December.		   *
************************************************************************************************************

This README file describes the list of programs/datasets used to generate the results in the tables and 
figures of the paper. It also lists the output files from these programs.



TABLE 1

	The statistics in both top and bottom panels are obtained in:
	
	PanelFunds.do, which calls the following dataset: PanelFundsDatabase.dta
	
	This do file generates one log file (T1.log)	

TABLE 2

	The statistics in the table are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (T2.log)	

TABLE 3

	The statistics in both top and bottom panels are obtained in:
	
	Sectors.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (T3.log)	

TABLE 4

	The statistics in the table are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta, NoListedFirms.dta
	
	This do file generates one log file (T4.log)	

TABLE 5

	The statistics in the table are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (T5.log)	

TABLE 6

	The regressions in the table are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (T6.log) and one excel file (T6.xls/T6.txt)	

TABLE 7

	The regressions in both top and bottom panels are obtained in:

	PanelFunds.do, which calls the following dataset: PanelFundsDatabase.dta
	
	This do file generates two excel files (T7_top.xls/T7_top.txt, T7_bottom.xls/T7_bottom.txt)	

TABLE 8

	For the simulations based on daily data, the statistics are obtained in: 
	
	SumStats_Daily.do, which calls the following datasets: VAR_LARGE_DAILY.dta, VAR_LONG_DAILY.dta, EXP_LARGE_DAILY.dta, EXP_LONG_DAILY.dta

	For the simulations based on weekly data (Wednesday-based weeks), the statistics are obtained in: 
	
	SumStats_Weekly.do, which calls the following datasets: VAR_LARGE_WEEKLY.dta, VAR_LONG_WEEKLY.dta, EXP_LARGE_WEEKLY.dta, EXP_LONG_WEEKLY.dta

	For the simulations based on monthly data (20 business days), the statistics are obtained in: 
	
	SumStats_Monthly.do, which calls the following datasets: VAR_LARGE_MONTHLY.dta, VAR_LONG_MONTHLY.dta, EXP_LARGE_MONTHLY.dta, EXP_LONG_MONTHLY.dta

	These programs generate one log file for each set of results (T8_Daily.log, T8_Weekly.log, T8_Monthly.log)

	All the datasets mentioned above already have the calculcated portfolio weights. The following m files are used to calculate the simulated 
	portfolio weights: T8_VarianceSimulations.m and T8_ReturnSimulations.m (the latter file calls maxret.m)


TABLE 9

	The simulations are based on daily data, with portfolio weights held constant for varying time periods, the statistics are obtained in: 
	
	SumStats_Daily_HoldingPeriod.do, which calls the following datasets: VAR_LARGE_DAILY.dta, VAR_LONG_DAILY.dta, EXP_LARGE_DAILY.dta, EXP_LONG_DAILY.dta

	This do file generates one log file (T9.log)

	All the datasets mentioned above already have the calculcated portfolio weights. The following m files are used to calculate the simulated 
	portfolio weights: T8_VarianceSimulations.m and T8_ReturnSimulations.m (the latter file calls maxret.m)

TABLE 10

	The simulations are based on daily data, the statistics are obtained in: 
	
	SumStats_DistHigherMoments.do, which calls the following datasets: VAR_LARGE_DAILY.dta, VAR_LONG_DAILY.dta, EXP_LARGE_DAILY.dta, EXP_LONG_DAILY.dta

	This do file generates one log file (T10.log)

	All the datasets mentioned above already have the calculcated portfolio weights. The following m files are used to calculate the simulated 
	portfolio weights: T8_VarianceSimulations.m and T8_ReturnSimulations.m (the latter file calls maxret.m)

TABLE 11

	The simulations are based on weekly data, the statistics are obtained in: 
	
	SumStats_ConditionalReturns.do, which calls the following datasets: VAR_LARGE_DAILY.dta, VAR_LONG_DAILY.dta, EXP_LARGE_DAILY.dta, EXP_LONG_DAILY.dta, MSCIReturns_Weekly.dta

	This do file generates one log file (T11.log)

	All the datasets mentioned above already have the calculcated portfolio weights. The following m files are used to calculate the simulated 
	portfolio weights: T8_VarianceSimulations.m and T8_ReturnSimulations.m (the latter file calls maxret.m)



APPENDIX TABLE 3

	The statistics in both top and bottom panels are obtained in:
	
	Sectors.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AT3.log)	

APPENDIX TABLE 4

	The statistics in all three panels are obtained in:
	
	Sectors.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AT4.log)	

APPENDIX TABLE 5

	The statistics in the table are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AT5.log)	

APPENDIX TABLE 6

	The statistics in the table are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AT6.log)	

APPENDIX TABLE 7

	The regressions in the table are obtained in:

	PanelFunds.do, which calls the following dataset: PanelFundsDatabase.dta
	
	This do file generates one excel file (AT7.xls/AT7.txt)	

APPENDIX TABLE 8

	The simulations are based on daily data, the statistics are obtained in: 
	
	SumStats_Benchmarking.do, which calls the following datasets: VAR_LARGE_BENCHM.dta, VAR_LONG_BENCHM.dta, EXP_LARGE_BENCHM.dta, EXP_LONG_BENCHM.dta

	This do file generates one log file (AT8.log)

	All the datasets mentioned above already have the calculcated portfolio weights. The following m files are used to calculate the simulated 
	portfolio weights: AT8_VarianceSimulations.m and T8_ReturnSimulations.m (these files call minvarb.m and maxretb.m, respectively)



FIGURE 2

	The data for the three graphs in the figure are obtained in:
	
	PanelFunds.do, which calls the following dataset: PanelFundsDatabase.dta
	
	This do file generates one log file (F2.log)	

FIGURE 3

	The data and statistics in the figure are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (F3.log)	

FIGURE 4

	The data for the graphs in both panels in the figure are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (F4.log)	

APPENDIX FIGURE 1

	The data for both graphs in the figure are obtained in:
	
	Sectors.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AF1.log)	

APPENDIX FIGURE 2

	The data in all three graphs in the figure are obtained in:
	
	Sectors.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AF2.log)	

APPENDIX FIGURE 3

	The data in both graphs in the figure are obtained in:
	
	Holdings.do, which calls the following dataset: HoldingsDatabase.dta
	
	This do file generates one log file (AF3.log)	

APPENDIX FIGURE 4

	The data and statistics in the figure are shown in:

	AppendixFigure4.xls

